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[Request] rollapply written in data.table #1855

ghost opened this issue Sep 25, 2016 · 1 comment

[Request] rollapply written in data.table #1855

ghost opened this issue Sep 25, 2016 · 1 comment


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@ghost ghost commented Sep 25, 2016

My apologies if this has already been brought up but do you plan on ever writing a rollapply function for data.table?

I know that you can use xts::rollapply function inside of data.table, however, xts::rollapply is still slow. I get the feeling that if a data.table::rollapply function was written utilizing data.table's radix sorting, it could be much faster than anything that is available right now. Without it, people just keep building c++ libraries to perform quick rolling time-series calcs...

@jangorecki jangorecki self-assigned this Apr 1, 2018
@jangorecki jangorecki added this to the v1.11.2 milestone Apr 21, 2018
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@jangorecki jangorecki commented Apr 21, 2018

rollapply even when developed in data.table might not be as fast as custom built c++ code. Just because it is not possible to effectively optimize arbitrary R function.
closing as duplicate of #2778

@jangorecki jangorecki closed this Apr 21, 2018
@jangorecki jangorecki removed this from the v1.11.2 milestone Apr 21, 2018
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